ScottB

I would say no, that does not indicate HFT is active in the ES (although it is) as HFT algos would not react in that fashion. All the HFT algos I have worked with/around would have taken one trade (maybe even 1 lot), cancelled away on the rest of their size and stayed out until the move was over. I watch the DOM in the ES for hours every day and have logging software running metrics during much of this time. I have seen (and logged) many of the moves you are referring to and they appear to be large players unwinding a position (or alternatively putting one on). If you watch carefully, they are clearing the book for multiple levels (I saw a 10 tick move the other day). To be able to do this would require either a market order (which is somewhat unlikely) or a marketable limit order otherwise the HFT players would have time to cancel. One explanation is someone large is putting on or taking off a hedge of some sort. Best Regards, Scott

That message can appear for a number of reasons but one of the most likely is you do not have the correct data for the instrument. Also under Optimize check the values for Optimize on and Optimizer. This may be beyond what you were asking but you should always optimize over one period (known as in sample) and then do a back test over a different period. This will simulate what the strategy will do with "new or unseen" periods. For example, run an optimization from January of 2010 to March of 2011 then pick a set of parameters that produced good results during that period and run them against data from April 2011 to date. This will separate truly predictive solutions from curve fit solutions. Best Regards, Scott

metalhead, that is very well put and in my experience the essence of the issue. Best Regards, Scott

One thing to always remember, no indicator can predict/show something that isn't there. A zero lag indicator to me implies you have simultaneously shown where things were (the ema part) and where things are (the zero lag part). That is great if you can get it but does it make logical sense that those two ends can be achieved at the same time? Best Regards, Scott

I have done what you describe in the past but as another trader said, I don't any more. However, if you are doing what I did, you might be surprised and not very happy to learn the real reason. Check your winning periods vs. your losing periods. Consider the possibility you are trading much the same during both periods. In the winning period, you mostly follow the rules but break them every once in a while in "special circumstances". The "special circumstance" trades go for you; you make money and you tell yourself, you did the right thing (breaking your rules) because these were after all, "special circumstances". In the losing period, you mostly follow the rules but break them every once in a while in "special circumstances". The "special circumstance" trades go against you; you lose money and you tell yourself, you did the wrong thing (breaking your rules) because you only thought they were "special circumstances". However, in the losing "special circumstance" trades, you have that one (maybe a couple) that get away from you and you have an outsized loss which severely hurts your account. It is so easy to tell yourself, if only... I would argue that isn't the issue at all. You were trading the same way the entire time, if one of the "special circumstance" trades you won had gone just a litte bit further against you, it had the potential to be one of the big losers. Your system, style, whatever you choose to call it may be a large part of the probelm in that, you don't really have one, just the illusion of having one. I know all of the above was true for me and I blew up a couple accounts before I figured it out. Best Regards, Scott

I just have a larger stop loss on the trade than you do.

It is indeed. Make you a deal, you come to Chicago, I will buy you dinner; if I come to the UK, you buy me a pint.

I can see it now - TheNegotiator starring in his own reality show. Unfortunately I am in the US and won't be making it but maybe I will catch you on television.

TheNegotiator, I saw you are going to host a booth at the Expo, I didn't know I was corresponding with someone famous!

uexkuell, that is excellent, thanks.

I don't want this to sound wrong but I almost never look at other people's stuff. One of the reasons I am always happy to share what knowledge I have is my guess is that almoste everyone has their own ideas and likely not enough time to research them. If I can point someone in the right direction or at least warn them of the potholes I have fallen in along the way then maybe some of those late nights weren't wasted after all. Of course, having just said I don't look at other people's stuff much, I must now go do a little research on DeMark, lol

You have actually pinpointed virtually the only way you can do it at the retail level. There are good proxies for most of these things if you truly understand what you are looking at/for. If someone is doing the equivalent of throwing paint at the wall hoping to create a Rembrandt that likely won't work (you might get a Picasso though). However, if you are looking for market structure to give you a probability based edge then that is much different (imo). Start with something very simple. One thing I do is show a histogram of the number of consecutive bars in the same direction. That is mildly interesting but I also know (not that anything can really be known relative to the market) the approximate probability of another up bar given we have had 4 up bars in a row and we are not within N minutes of a market moving report. That kind of analysis take a lot of time. One of the worst feelings in trading for me isn't losing on a trade. It is spending a week researching something like that only to find it has zero predictive value.

Negotiator, I have and still do work on both sides of the institutional/retail fence and I can say from my experience is no you cannot do that type of analysis without the feeds, etc. The most insidious part is you can easily get the illusion you can. The differences are subtle in nature and virtually impossible to reconcile if you aren't aware of what to look for. For example, how would you be 100% certain a trade went off at the bid or ask or how would you ever spot algos running deeper in the book without getting every book change, not just "most or enough" of them? These are terms data providers will use if pushed to explain EXACTLY what their data streams consist of.

Chris, you are quite welcome. I hate to see someone get taken advantage of (especially a fellow programmer).

sdoma, thanks here and I will thank you again in the foreword. Karish, MM come in two flavors, the true market makers (think NYSE specialists of the olden days) and prop firms that are just trying to take what they can out of the market. I don't have an issue with either type, we are all trying to make money, why should they be any different? I think both types provide liquidity by acting as the facilitator for anyone wanting to take liquidity. If you want to take liquidity, do you really care who you get it from?